Does It Take Volume to Move the EUR/PLN FX Rates? Evidence from Quantile Regressions

• Autorzy: Katarzyna Bień-Barkowska

Warianty tytułu

Czy wolumen transakcji wpływa na zmiany kursu EUR/PLN? Wnioski płynące z zastosowania regresji kwantylowych

• Języki publikacji: EN

Abstrakty

EN

This study investigates the impact of trading volume on selected quantiles of the EUR/PLN return distribution. Empirical results obtained with the quantile regression approach confirm that an increase in the turnover is associated with a significant increase in the dispersion of the corresponding return distribution. We divided the trading volume into its expected (antici-pated) and unexpected (unanticipated) component and found that the unexpected volume shocks have a significantly larger impact on the dispersion of the return distribution. We also observed that the volume-return relationship is nonlinear; the dependence is stronger with more extreme quantiles. Moreover, after accounting for a conditional volatility measure as a controlling explan-atory factor for the quantile dynamics, the impact of the expected volume declines yet remains significant especially for the most extreme quantiles. (original abstract)

W artykule dokonano badania wpływu wolumenu transakcyjnego na wartość wybranych kwantyli rozkładu stóp zwrotu z kursu EUR/PLN. Wyniki empiryczne otrzymane na podstawie regresji kwantylowych potwierdziły, że wzrost obrotów ma statystycznie istotny wpływ na dyspersję rozkładu stóp zwrotu. W badaniu dokonano podziału wolumenu transakcyjnego na dwie części: tzw. wolumen oczekiwany przez uczestników rynku i tzw. wolumen nieoczekiwany przez uczestników rynku oraz wykazano, że to wolumen nieoczekiwany ma dużo większy wpływ na dyspersję badanego rozkładu. Zaobserwowano również, że relacja pomiędzy wolumenem a stopą zwrotu ma charakter nieliniowy, tzn. jest najsilniejsza dla najbardziej ekstremalnych kwantyli. Wykazano, że w konsekwencji uwzględnienia miary warunkowej zmienności (jako dodatkowego czynnika wyjaśniającego dynamikę kwantyli stóp zwrotu) wpływ oczekiwanej wartości wolumenu transakcyjnego ulega zmniejszeniu, ale wciąż pozostaje istotny statystycznie, szczególnie dla najbardziej ekstremalnych kwantyli. (abstrakt oryginalny)

Słowa kluczowe

EN

Foreign Exchange (FX); Exchange rates; Euro; Polish Zloty; Quantile regression; Trading volume

PL

Rynek walutowy; Kurs walutowy; Euro; Złoty polski; Regresja kwantylowa; Wolumen obrotu

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2012
• Tom: 12
• Strony: 35--52

Twórcy

autor

Katarzyna Bień-Barkowska

• Warsaw School of Economics, Poland

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Identyfikatory

DOI

10.12775/DEM.2012.003